China Equity Factor Review: Growth and Profitability Lead in December 2017

Summary

This monthly review evaluates equity factors using information coefficient (IC) relationships with subsequent prices and market- and industry-neutral long-short returns. It reports that growth and turnover factors were relatively consistent over the latest three months, while profitability factors had a setback in November, reversal subfactors diverged, and price-to-book appeared steadier than price-to-earnings. For December 2017, profitability and growth factors showed strong reported associations and long-short spreads; the report highlights measures such as return on assets, return on equity, margins, earnings growth, revenue growth, asset turnover, book value per share, and MACD.

The review also describes historical patterns under market-cap neutrality and recommends a set of factors for the following month. Its evidence is a historical, period-specific factor analysis, including an equal-weight long-short reference portfolio and factor rankings. The supplied text does not explain data construction, statistical tests, transaction costs, rebalancing details, or out-of-sample validation. Its reported factor strength and suggested allocation are therefore context-bound observations rather than proof of durable future returns.

Key ideas

• The report compares factors using IC measures and market- and industry-neutral long-short returns.
• Growth and turnover factors were described as relatively stable over the latest three months.
• Profitability and growth factors were among the stronger reported groups for December 2017.
• Reversal subfactors diverged, and price-to-book was reported as steadier than price-to-earnings.
• The findings are historical and the text omits key details needed to assess costs and out-of-sample robustness.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.